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Introduction to Linux - A Hands on Guide

This guide was created as an overview of the Linux Operating System, geared toward new users as an exploration tour and getting started guide, with exercises at the end of each chapter.
For more advanced trainees it can be a desktop reference, and a collection of the base knowledge needed to proceed with system and network administration. This book contains many real life examples derived from the author's experience as a Linux system and network administrator, trainer and consultant. They hope these examples will help you to get a better understanding of the Linux system and that you feel encouraged to try out things on your own.

You chose not to install GRUB to any devices. If you continue, the boot loader may not be properly configured, and when this computer next starts up it will use whatever was previously in the boot sector. If there is an earlier version of GRUB 2 in the boot sector, it may be unable to load modules or handle the current configuration file.

If you are already using a different boot loader and want to carry on doing so, or if this is a special environment where you do not need a boot loader, then you should continue anyway. Otherwise, you should install GRUB somewhere.
Continue without installing GRUB?

So the bootloader is in the boot partition and not in the MBR, where windows can overwrite it.
When I boot, the windows booter starts first, there I choose Debian, and then grub shows up and everything is ok.

Now, after the upgrade what should I answer to that question above?
I want to keep things as are now, dual boot and two booters, and I'm afraid to mess up.

Continue without installing the Grub, it is probably due to an update to the kernel, and at the worst case if you can't boot to the new kernel then boot to the old one and then fix/install the Grub on the boot partition.